Testing serial correlation in fixed effects regression models based on asymptotically unbiased autocorrelation estimators
DOI10.1016/J.MATCOM.2008.08.006zbMATH Open1171.62052OpenAlexW1988204765MaRDI QIDQ834320FDOQ834320
Authors: Ryo Okui 
Publication date: 19 August 2009
Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.matcom.2008.08.006
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Parametric hypothesis testing (62F03) Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Asymptotic distribution theory in statistics (62E20)
Cites Work
- Linear Regression Limit Theory for Nonstationary Panel Data
- Econometric analysis of cross section and panel data.
- Asymptotically Unbiased Inference for a Dynamic Panel Model with Fixed Effects when Both n and T Are Large
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- How Much Should We Trust Differences-In-Differences Estimates?
- On a measure of lack of fit in time series models
- Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
- Income Variance Dynamics and Heterogeneity
- Title not available (Why is that?)
- Serial Correlation and the Fixed Effects Model
- Testing AR(1) against MA(1) disturbances in an error component model
- On Consistent Estimates of the Spectrum of a Stationary Time Series
- A PORTMANTEAU TEST FOR SERIALLY CORRELATED ERRORS IN FIXED EFFECTS MODELS
- UNEQUALLY SPACED PANEL DATA REGRESSIONS WITH AR(1) DISTURBANCES
- Testing model adequacy for dynamic panel data with intercorrelation
- Wavelet-Based Testing for Serial Correlation of Unknown Form in Panel Models
- Title not available (Why is that?)
- Tests for the error component model in the presence of local misspecification
Cited In (11)
- Nonparametric dynamic panel data models: kernel estimation and specification testing
- Testing for Trend Specifications in Panel Data Models
- Asymptotically unbiased estimation of autocovariances and autocorrelations with panel data in the presence of individual and time effects
- Testing for serial independence of panel errors
- A portmanteau test for correlation in short panels
- Testing error serial correlation in fixed effects nonparametric panel data models
- Title not available (Why is that?)
- Testing for serial correlation in fixed-effects panel data models
- ASYMPTOTICALLY UNBIASED ESTIMATION OF AUTOCOVARIANCES AND AUTOCORRELATIONS WITH LONG PANEL DATA
- Asymptotically unbiased estimation of autocovariances and autocorrelations for panel data with incidental trends
- A PORTMANTEAU TEST FOR SERIALLY CORRELATED ERRORS IN FIXED EFFECTS MODELS
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